I have created a short video about Windows Defender feature Controlled folder access in Windows 10. This feature, when enabled, can block Rhino (and any other program for that matter) from saving to certain locations. The locations are mostly the main user folders Documents, Pictures and so on.

You can add Rhino as an allowed program through the Windows Defender control panel under Virus & Threat protection settings. Click on the Allow an app through Controlled folder acces and add Rhino (and any other program you want to save your work with). You can also review the Protected folders section - add and delete folders you think that should be and should not be controlled.